Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-3091-6661
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Mathematical models in finance
Mikosch, Thomas Valentin & Embrechts, P., 2004, Encyclopedia of Life Support Systems (EOLSS): Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK [www.eolss.net]. EOLSS Publishers, Oxford, UK, 16 p.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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How to Model Multivariate Extremes if One Must?
Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.Research output: Working paper
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Change of structure in financial time series and the GARCH model
Mikosch, Thomas Valentin & Starica, C., 2004, In: Revstat Statistical Journal. 2, p. 16-41Research output: Contribution to journal › Journal article › Research › peer-review
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Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects
Mikosch, Thomas Valentin & Starica, C., 2004, In: Review of Economics and Statistics. 86, p. 378--390Research output: Contribution to journal › Journal article › Research › peer-review
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Activity Rates with Very Heavy Tails
Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-23.Research output: Working paper
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Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
Konstantinides, D. G. & Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.Research output: Working paper
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Functional Large Deviations for Multivariate Regularly Varying Random Walks
Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-25.Research output: Working paper
ID: 3696
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General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
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573
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Aggregation of log-linear risks
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210
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published